Results 51 to 60 of about 36,176 (157)
PLoS ONE, 2021 This paper provides a thorough overview and further clarification surrounding the volatility behavior of the major six cryptocurrencies (Bitcoin, Ripple, Litecoin, Monero, Dash and Dogecoin) with respect to world currencies (Euro, British Pound, Canadian
Viviane Naimy +3 more
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Empirical Research on VAR Model Based on GJR-GARCH, EVT and Copula [PDF]
Science Journal of Applied Mathematics and Statistics, 2015 In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of two index--- New York stock exchange composite index (NYA) and NASDAQ. and estimate the distribution function of the residuals utilizing Gaussian kernel method and Extreme Value Theory.
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Real Estate Management and Valuation, 2023 The presence of volatility in residential property market prices helps investors generate substantial profit while also causing fear among investors since high volatility implies a high return with a high risk.
Suleiman Ahmad Abubakar +6 more
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Energy Economics, 2019 Energy commodities and precious metals differ from other trading products. Both oil and gold prices are leading economic variables, and drive the evolution of the world economy.
Rihab Bedoui +3 more
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Study on Financial Market Risk Measurement Based on GJR-GARCH and FHS [PDF]
Science Journal of Applied Mathematics and Statistics, 2015 In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of one kind of Chinese stock index--- Shanghai Composite Index and the series of independent and identically distribution standardized residuals is formed from the filtered model residuals and conditional volatilities from the return series with an GJR-GARCH ...
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Business Systems Research, 2013 Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has
Bucevska Vesna
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Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
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Forecasting Malaysian gold using a hybrid of ARIMA and GJR-GARCH models
Applied Mathematical Sciences, 2015 An effective way to improve forecast accuracy is to use a hybrid model. This paper proposes a hybrid model of linear autoregressive moving average (ARIMA) and non-linear GJR-GARCH model also known as TARCH in modeling and forecasting Malaysian gold.
Ahmad, Maizah Hura +3 more
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, 2020 Existing literature has not yet identified the common determinants of price volatility transmission in agricultural commodities from international to local markets and has rarely investigated the role of self-sufficiency measures in the context of ...
Jin Guo, Tetsuji Tanaka
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Application of Copula Models in Stock Market Analysis
InformatikaObjectives. The objective of the study is to use copula models to analyze shares of the Russian stock market and describe changes in the relationship between the shares before and during the coronavirus infection (COVID-19).Methods.
A. M. Kendys, M. M. Troush
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